ETC4130 Asset liability management

When you finish this unit, you should be able to:

1. 1

   describe and critically discuss the characteristics and behaviour of different Investment types under different economic conditions, understanding the relationship between risk and return and recognising risk factors which includes issuer default, counterparty failure, systemic liquidity, the collapse of speculative bubbles, shocks to the economic system and cyclical/structural changes

2. 2

   develop an understanding of the methods used for valuation of the common forms of debt, equity, property and derivative securities. In particular students should be aware of the valuation methods and principles, data requirements and sources and the implicit assumptions and limitations of these models

3. 3

   develop an understanding of the application and limitations of the major economic and financial theories relevant to investment, and be able to critically evaluate these theories including the efficient market hypothesis, the capital asset pricing model, multi-factor pricing models and theories from behavioural finance

4. 4

   define appropriate investment objectives based on the liability profile of a fund

5. 5

   specify appropriate investment constraints, based on the liability profile of a fund

6. 6

   identify the characteristics of different types of asset models

7. 7

   critically evaluate the appropriateness of an asset model for a given context

8. 8

   derive consistent asset assumptions for asset models, taking into account historical data, prevailing industry expectations, contemporary investment literature, and other practical considerations such as tax

9. 9

   apply asset assumptions, and the linkages contained within asset models, to real world situations

10. 10

    describe and critically evaluate different approaches to asset allocation.